Price discovery in strategically-linked markets: the case of the gold-silver spread
Using 15 minute intraday data, we analyse the price discovery process among the strategically-linked gold and silver futures contracts and examine the role of the intermarket spread in their price dynamics. The multivariate model employed allows for intermarket volatility spillover and asymmetric-spread effects on the variance and covariance of the two contracts. The data suggest that the silver contract bears the majority of the burden of convergence to the gold-silver spread. This evidence is noteworthy since the silver contract was by far the more volatile of the two contracts over the period studied.
Year of publication: |
2000
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Authors: | Adrangi, Bahram ; Chatrath, Arjun ; David, Rohan Christie |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 10.2000, 3, p. 227-234
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Publisher: |
Taylor & Francis Journals |
Saved in:
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